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HHP,
Your welcome.
I actually use the new Percentile function to create the initial
survey and the CPD curve. The "First Part" code uses the 11 points
(1,10,20,30,40,50,60,70,80,90,99) in the percentile function to
determine the probability distribution. In this block of code:
//-----------------------------------------------------------
// First Loop i goes through percentile ranks in
// increments of 10 from 1 to 99
// x = the ROC(C,260) that corresponds to rank y
// y = % Rank in 10% Increments
//-----------------------------------------------------------
m=LastValue(Count);
for( i = 0; i<=10; i++ )
{
y[i]=i*10;
if(i<1) y[i]=1;
if(i>9) y[i]=99;
x[i]=LastValue(Percentile( ROC260, m-1, y[i] ));
}
You can screw around with weightings within the ROC's if you want.
What you could do is instead of the variable ROC260, you could say
something like
relROC=ROC(C,260)+ROC(C,130)+2*ROC(C,65);
and place that expression into all the locations where ROC260 is in
the code I posted. I read somewhere in one of O'neil's books that IBD
uses a higher weighting for more recent data, but they never say what
the weighting is. I actually do something like this for my RS rank.
I would like to set it up so that I can use more than just the most
recent data so that I can do backtesting using comparative relative
strength. I have an idea of how I can do it, but I suspect it will
take a very long time to crunch the "calibration" numbers.
If you create Industry Group surrogates you can rack and stack them
as well using this method and create an IG_RS variable. Just place
them into a separate Group or WL and perform the RS calibration
procedure over that group.
This is one of the better ways of performing ranking in my opinion.
Its truly a statistical percentage rank of what's outperformed what.
No funky fitting formulas, just the real data racked and stacked for
your pleasure.
-ace
--- In amibroker@xxxxxxxxxxxxxxx, harveyhp <harveyhp@xxxx> wrote:
> Many thanks for making this available, Ace. Not only is it a
useful function (message #55197), but so well documented that it
serves as a lesson for those of us whose coding skills are somewhat
elementary. Just curious: does the recently introduced Percentile
function duplicate some of your work, or is that different?
>
> FWIW, on another forum at another time it was stated that the IBD
weighting assigns a weight of one to each of the first three quarters
of the year and a weight of two to the most recent quarter, but I
cannot confirm that.
>
> HHP
> =================
> ----- Original Message -----
> From: acesheet
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: 04 January, 2004 8:36 PM
> Subject: [amibroker] Re: How to test IBD's idea?
>
>
> JOE,
>
> I'm 99% certain the way I propose to calculate the IBD RS *is*
the
> way that it is done in terms of comparing relative strength on a
> purely statistical basis. If you look in Excel at the PERCENTRANK
> function you'll see that it does essentially the same thing as
what
> I designed in AFL for this code.
>
> Other formulations may try to approximate the IBD number - I've
> designed a few of those myself - but they aren't really doing
what
> the essence of the 1-99 comparison is. The code I showed does
> exactly what a RS Rank compared to all stocks in the database and
is
> not really an approxiamtion, except for the 11 point curve fit of
> the CPD curve.
>
> The only difference between the one I show and IBD's is that they
do
> some weighting of either more than one ROC going into the CPD
> comparison. I don't know what IBD's weightings are, but I'm
pretty
> sure it doesn't matter all that much as long as the idea finds
high
> RS stocks to trade. In other words I really don't think it
matters
> if IBD says a stock is an 88 and this calculation says its a 84.
>
> Have fun.
>
> -ace
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Joseph Landry" <jelandry@xxxx>
> wrote:
> > Ace - I subscribe to the forum digest so I don't get any
> > attachments, and I'm wondering if you could forward the AFL
code
> to
> > me directly?
> >
> > The folks over in the TC2000 area have a way of calculating
what
> > they say is IBD relative strength number and as soon as I find
it
> > and the underlying rationale I'll post it here.
> >
> > Thanks
> > JOE
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "gary_tiger2001"
> > <gary_tiger2001@xxxx> wrote:
> > > Thanks Ace, Harvey & Jason,
> > >
> > > I will study the code...
> > >
> > > Cheers,
> > > Gary
> > > --- In amibroker@xxxxxxxxxxxxxxx, "acesheet" <acesheet@xxxx>
> wrote:
> > > > Gary,
> > > >
> > > > There's a couple of different ways of doing it. Some more
time
> > > > consuming, some less. One way is to compare the returns
using
> > ROC
> > > to
> > > > a reference index (like SP500 or Value Line for US stocks).
If
> a
> > > > stock's performance significantly beats out the index, then
> its
> > a
> > > > safe bet that it has high relative strength. I've used this
> > > concept
> > > > for back testing.
> > > >
> > > > Another way is to use what's called the 'Cumulative
> Probability'
> > > of
> > > > the market returns. See post # 55179. If you have a large
> enough
> > > > database you should be able to get these AFL scripts to
work
> > very
> > > > well in terms of comparison with IBD's RS ranks. Currently
I
> > only
> > > > have a script that uses "today's" data however, so it won't
be
> > so
> > > > hot for backtesting. This method of ranking works very well.
> > > >
> > > > You could take the idea shown in post 55179 and adapt it to
> > > collect
> > > > the data over time and create several historical ROC
indices
> for
> > > the
> > > > 10 point curve fit. Something like
> > > ~xroc1,~xroc10...~xroc90,~xroc99.
> > > > It will probably take AB a very long time to crunch the
> numbers,
> > > > however.
> > > >
> > > > Hope that gives you some ideas.
> > > >
> > > > -ace
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "gary_tiger2001"
> > > > <gary_tiger2001@xxxx> wrote:
> > > > > Happy new year to all of you.
> > > > >
> > > > > I wish to test the idea from IBD, like the relative
> strenghth
> > > > > ranking, etc. I cannot figure out how to do it in AB.
> > Basically,
> > > I
> > > > > have a universe of stocks. Is it possible to rank the
> strength
> > > of
> > > > > stocks compared to my stock universe, from 1 - 99?
> > > > >
> > > > > Cheers,
> > > > > Gary
>
>
>
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